Bayesian value-at-risk backtesting: the case of annuity pricing
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Publication:2030319
DOI10.1016/J.EJOR.2020.12.051zbMath1487.91166OpenAlexW3125093297MaRDI QIDQ2030319
Melvern Leung, Athanasios A. Pantelous, Samuel A. Vigne, Youwei Li
Publication date: 7 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/101698/1/MPRA_paper_101698.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)
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Uses Software
Cites Work
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